Quant Bloodbath Hits Goldman Sachs

Remember the days when Goldman Sachs executives could say “volatility is our friend?” Well, it looks like the friendship has broken up. Goldman’s North American Equity Opportunities has been liquidating its positions in the face of heavy losses, according to a report just published by the Wall Street Journal. It is not clear how significant the liquidation is. There are widespread rumors that the fund may be selling off everything and shutting down. But Goldman has “privately thrown cold water on a published report that North American Equity Opportunities hedge fund is liquidating,” according to the Journal. The Journal notes that the fund, which at had assets of $767 million earlier this year, was down over 15% year through July 27. Loses in July alone are said to have been around eleven percent. Given the market’s volatile behavior in August, it’s likely that losses have continued to mount and may have become much, much worse. The same report from the Journal says that another quant fund, Tykhe Capital, has suffered losses of about 20% in August alone. Oh yeah, and Goldman says that Global Alpha isn’t shutting down either. It’s liquidated certain positions to pare back its risk profile but it’s not done yet.Second Goldman Hedge Fund Moves to Sell Some Positions [Wall Street Journal]Goldman:"business as usual" at shrinking Alpha fund [Reuters]